New method accurately estimates dynamic panel data models with varying coefficients.
The article introduces a new method to estimate dynamic panel data models with varying coefficients. The researchers use a three-stage approach, starting with a nonparametric method to estimate all coefficients, then using an average method to estimate parametric coefficients, and finally obtaining the varying coefficients estimator. The study shows that the proposed estimators are consistent and asymptotically normal. Monte Carlo simulations confirm that the estimators perform well even with limited data.
